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continuous contract in NT7 /merge policy / rollover
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continuous contract in NT7 /merge policy / rollover

  #51 (permalink)
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Fat Tails View Post
Both charts are showing merged, backadjusted contracts. The current front month for CL is the March contract (CL 03-15). This means that this months and all later expiries show the same data until the next rollover date. Starting from the next rollover date - which is around March 20 -, and only after the next rollover offset has been determined and entered, the April contract will show different prices. As CL is in contango, those prices will be higher than the prices for the March contact. When the offset is entered this will also lead to a readjustment of all data prior to the rollover date, and the April contract will show different data that is different from the March contract, even for today. However, that data shown for the April contract, is not the trade data for the April contract, but it is merged backadjusted data taken from the March contract and shifted by the rollover offset.

Please make sure that you understand merged, backadjusted contracts, if you use them. There is a paper here that explains the details:

https://futures.io/download/educational_manuals_ebooks_videos/628-download.html?view


If you do not wish to use merged, backadjusted contracts, NinjaTrader allows you to use single months contracts. Just open the Control Center -> Tools -> Options -> Data -> Historical Chart Data and select "DoNotMerge" from the dropdown menu. All charts that you open after this change will show single month contract data.

Thanks a lot Fat Tails.

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  #52 (permalink)
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More clarification


Fat Tails View Post
(1) Change the settings as Josh has explained.
(2) Open a chart for ES 09-11
(3) It will show the contract ES 09-11 from June 9 (rollover day) until today, but show the contract ES 06-11 from June 8 backwards until March, where it will switch to ES 03-11.
(4) See chart below.

Of course you will need to load the historical data for the contract ES 06-11 first, or open the chart while being connected to your data provider.

Fat Tails, you are really helpful, thank you very much!

I was wondering:

1. if I currently load the ES 06-15 in market reply with 120 days back I will not get all the data back from the back-adjusted 03-15 contract? (I do see data that goes beyond the 06-15 contract)

2. How do I load a previous contract data without opening a chart?

3. How Can I know visually (or by a parameter) that I really see back-adjusted data?

4. If the data provider doesn't supply 120 days back in real mode will the data be less days than I requested?

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  #53 (permalink)
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ToMerK View Post
Fat Tails, you are really helpful, thank you very much!

I was wondering:

1. if I currently load the ES 06-15 in market reply with 120 days back I will not get all the data back from the back-adjusted 03-15 contract? (I do see data that goes beyond the 06-15 contract)

2. How do I load a previous contract data without opening a chart?

3. How Can I know visually (or by a parameter) that I really see back-adjusted data?

4. If the data provider doesn't supply 120 days back in real mode will the data be less days than I requested?


1. When you start market replay your chart has two sections

First section = all data prior to start of replay: This is historical data taken from your historical data base. The data is mergebackadjusted (if you have selected it as a merge policy under Tools -> Options -> Data or in the instrument manager).
Second section = all data which is added via the replay: This data can be considered as realtime data for the current contract. Within the replay section of the chart no rollover is possible.

For example, if you start replay for ES 06-15 on March 15, the data prior to March 15 will be merge-back adjusted data, while the replay data starting with March 15 will be single month data for the contract ES 06-15.

2. You need to add the previous contract to one of your instrument lists. You can then select the previous contract in the Historical Data Manager and download the required data.

3. You can check the data for the selected rollover dates. If there are no gaps, the data should be merge-backadjusted. You can also check the settings under Tools -> Options -> Data -> Merge Policy. However, these settings are only applied to the historical part of your chart. Real-time data is always taken from a single month contract.

4. If you talk about 120 days of data, this can never be real mode. You are talking about historical backfill. If your data provider gives you less than 120 days of data, a fraction of your chart will not be populated with data.

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  #54 (permalink)
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Fat Tails View Post
1. When you start market replay your chart has two sections

First section = all data prior to start of replay: This is historical data taken from your historical data base. The data is mergebackadjusted (if you have selected it as a merge policy under Tools -> Options -> Data or in the instrument manager).
Second section = all data which is added via the replay: This data can be considered as realtime data for the current contract. Within the replay section of the chart no rollover is possible.

For example, if you start replay for ES 06-15 on March 15, the data prior to March 15 will be merge-back adjusted data, while the replay data starting with March 15 will be single month data for the contract ES 06-15.

2. You need to add the previous contract to one of your instrument lists. You can then select the previous contract in the Historical Data Manager and download the required data.

3. You can check the data for the selected rollover dates. If there are no gaps, the data should be merge-backadjusted. You can also check the settings under Tools -> Options -> Data -> Merge Policy. However, these settings are only applied to the historical part of your chart. Real-time data is always taken from a single month contract.

4. If you talk about 120 days of data, this can never be real mode. You are talking about historical backfill. If your data provider gives you less than 120 days of data, a fraction of your chart will not be populated with data.

hmm, strange, I see in the historical data manager that all the previous contracts data, as well as the current are already downloaded without "save chart data as historical" checked.
Is this data reliable? Is it from the data supplier or NT?

In (4) I was talking about when I am connected to the data supplier and write in "Days to load" 120 days. If the data supplier will not supply so many days back shouldn't I get it from my saved historical data mention above?

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  #55 (permalink)
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ToMerK View Post
hmm, strange, I see in the historical data manager that all the previous contracts data, as well as the current are already downloaded without "save chart data as historical" checked.
Is this data reliable? Is it from the data supplier or NT?

In (4) I was talking about when I am connected to the data supplier and write in "Days to load" 120 days. If the data supplier will not supply so many days back shouldn't I get it from my saved historical data mention above?

When you select "save chart data as historical", NinjaTrader converts real-time data to historical data. This is not recommended, as your chart will be built from chunks and pieces of different data streams. When it is unselected, every time you open a new chart

-> NinjaTrader will download historical data from your data provider (this is called "backfill") and store it in your data base
-> NinjaTrader will then add incoming ticks to your chart (this is called "real-time" data)

Your chart is therefore built from

-> historical bars (backfill)
-> a hybrid bar which typically has 1 historical "tick" and is completed with real-time ticks
-> bar built from real-time ticks

When you close the chart the real-time data is lost. When you reopen the chart again, real-time data is replaced with historical backfill, which downloaded.

If you wish to save 120 days of real-time data as historical, you need to connect 24/24 for 4 months in order to collect that data. Never switch off your machine, never disconnect, never update NinjaTrader. This is unrealistic.

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  #56 (permalink)
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  #57 (permalink)
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  #58 (permalink)
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Just wanted to check with other members using Ninjatrader 7 if you have an offset to adjust the GAP between contracts for the future currencies. On my platform, i have 0 as offset for 6E, 6C, 6J etc. for the month of June 2017. If you have something different than 0 then can you please post your offset values? Thanks

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  #59 (permalink)
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trendisyourfriend View Post
Just wanted to check with other members using Ninjatrader 7 if you have an offset to adjust the GAP between contracts for the future currencies. On my platform, i have 0 as offset for 6E, 6C, 6J etc. for the month of June 2017. If you have something different than 0 then can you please post your offset values? Thanks

Rollover date for currency futures was Friday, March 10.

All you need to do is to open the CME group website and look up the settlement prices for both the old and the new contract for Thursday, March 9 (which is the day prior to rollover day).

The difference between the settlement prices is the offset that you look for.

For example for 6E you will find for Thursday

March 17: Settlement price = 1.05935
June 17: Settlement price = 1.06425

The difference is 0.00490.

Your offset (needed to backadjust the march contract) is + 0.00490.

Alternatively you can calculate the offset from the last traded prices on Thursday.

March 17: Last traded price = 1.05765
June 17: Last traded price = 1.06260

In this case the offset would be + 0.00495 (just a half pip difference compared to the first method).


Link for 6E:

Euro FX Futures (EUR/USD) Settlements - CME Group

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  #60 (permalink)
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Fat Tails View Post
Rollover date for currency futures was Friday, March 10.

All you need to do is ...

Thanks @Fat Tails for the feedback, I was aware of the procedure you described but i wanted to know why were the Offset values for the Futures currencies at 0 on my side. I wrote to Ninjatrader and they suggested to reset the instrument list (Option/Datas). However when you do reset it, you lose all the prior manual changes you did to the Offset and Rollover date for all prior contracts on your computer. In short, i did reset it but now i know there will be errors in my prior contracts as i did not record any of these prior offsets but i can live with it.

BTW, Ninjatrader uses the ETH hours for the offset setting. This number as you wrote is calculated by subtracting the close of the old contract month 1440m ETH bar which ended 1 day prior to the rollover date from the close of the new contract month 1440m ETH bar which ended 1 day prior to the rollover date. I think they populate their database with Rithmic datas.

NOTE: if you modify the Offset value you need to modify the Rollover date as well as Ninja will always try to overwrite your manual change based on the default Rollover date as set on their servers.


Thanks again,
-

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